Value-at-Risk and Expected Shortfall for Linear Portfolios With Elliptically Distributed Risk Factor
Company: International Journal of Theoretical and Applied Finance
Company Url: http://www.worldscinet.com/ijtaf/
Year Of Publication: 2005
Month Of Publication: August
Pages: 537-551
Download Count: 5228
View Count: 24162
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 9-15-2003
Publisher: Administrator
Summary
In this paper, we generalize the parametric delta-VaR method from portfolios with normally distributed risk factors to portfolios with elliptically distributed ones. We treat both the expected shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of a multivariate t-distribution.
Vol. 8, No. 5
THIS IS A PRE-PUBLICATION VERSION OF THE PAPER
Vol. 8, No. 5
THIS IS A PRE-PUBLICATION VERSION OF THE PAPER
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parametric delta-normal elliptical extreme value expected shortfall
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VaR Methods——Parametric
parametric delta-normal elliptical extreme value expected shortfall
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VaR Methods——Parametric
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